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- TheArbitrage replied Mar 31, 2015
Hello everyone, Here is what you could learn during my stat arb courses. image Of course, even if the commissions are not so high in these backtests, by combining several cointegrated backets to January 2nd 2011 to January 30th 2015 the PnLs of ...
- TheArbitrage replied Nov 19, 2014
image I sold the spread last night (2€/point short on the eurobund december 14 and 4€/point long on the BOBL). You can follow the results from my Trade Explorer.
- TheArbitrage replied Nov 4, 2014
1.3 for EUROSTOXX 50 and 1 CAC 40 = money neutral. Each leg of the trade have the same amount of money. image Here is the trade on euro-bund/Bobl which is closed. So the PnL is: The PnL is (150.95-151.07)*1000 + (128.11-128.02)*2000 = -120 + 180 = ...
- TheArbitrage replied Nov 3, 2014
Yes, spread of 1 for both assets. Period of return 10 and standard deviation of 20 for the returns of 10 periods. No slippage, with a spread of 2 should do the trick. Here you have the true PnL curve. image
- TheArbitrage replied Nov 3, 2014
R(a,t) = return of A at the t period, for example let calculate the eurobund return of 31 october 2014 of 1 period. Here are the values of eurobund CFD futures contract: image The valus are in the right of the picture. SO R(eurobund, 31/10/2014) = ...
- TheArbitrage replied Nov 3, 2014
Here is the Signal from the equation 1: image Here is the signal calculated with the CFD futures contract with Activtrades: image The PnL is (151.22-151.07)*1000 + (128.11-128.12)*2000 = 150 - 20 = + 130€ so far! The position should be closed ...
- TheArbitrage replied Nov 2, 2014
With some delayy, here is a signal long 1 euro-bund futuress CFD contract and 2 short BOBL futures CFD contract with CFD at Actvtrades image long 1 euro-bund futuress CFD contract at 151.07 2 short BOBL futures CFD contract at 128.11 (not 128.13 ...
- Pairs trading strategy on bond futures
Hello everyone, I am new here. Here is a simple pairs trading formula for calculating the spread ...
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